Conditional orderings and positive dependence
Every univariate random variable is smaller, with respect to the ordinary stochastic order and with respect to the hazard rate order, than a right censored version of it. In this paper we attempt to generalize these facts to the multivariate setting. It turns out that in general such comparisons do not hold in the multivariate case, but they do under some assumptions of positive dependence. First we obtain results that compare the underlying random vectors with respect to the usual multivariate stochastic order. A larger slew of results, that yield comparisons of the underlying random vectors with respect to various multivariate hazard rate orders, is given next. Some comparisons with respect to the orthant orders are also discussed.
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Volume (Year): 99 (2008)
Issue (Month): 3 (March)
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References listed on IDEAS
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- Lindqvist, Bo Henry, 1988. "Association of probability measures on partially ordered spaces," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 111-132, August.
- Hu, Taizhong & Khaledi, Baha-Eldin & Shaked, Moshe, 2003. "Multivariate hazard rate orders," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 173-189, January.
- Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2006.
"Some positive dependence stochastic orders,"
Journal of Multivariate Analysis,
Elsevier, vol. 97(1), pages 46-78, January.
- Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2006. "Some positive dependence stochastic orders," Post-Print hal-00539122, HAL.
- Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2005. "Some notions of multivariate positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 13-26, August.
- Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2005. "Some notions of multivariate positive dependence," Post-Print hal-00539601, HAL.
- Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December. Full references (including those not matched with items on IDEAS)
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